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https://doi.org/10.17535/crorr.2017.0005

Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period

Margareta Gardijan   ORCID icon orcid.org/0000-0001-5390-057X ; Faculty of Economics and Business, University of Zagreb, J. F. Kennedy 6, 10 000 Zagreb, Croatia
Jakša Krišto   ORCID icon orcid.org/0000-0003-1381-2078 ; Faculty of Economics and Business, University of Zagreb, J. F. Kennedy 6, 10 000 Zagreb, Croatia

Puni tekst: engleski, pdf (245 KB) str. 77-92 preuzimanja: 596* citiraj
APA 6th Edition
Gardijan, M. i Krišto, J. (2017). Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period. Croatian Operational Research Review, 8 (1), 77-92. https://doi.org/10.17535/crorr.2017.0005
MLA 8th Edition
Gardijan, Margareta i Jakša Krišto. "Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period." Croatian Operational Research Review, vol. 8, br. 1, 2017, str. 77-92. https://doi.org/10.17535/crorr.2017.0005. Citirano 25.10.2020.
Chicago 17th Edition
Gardijan, Margareta i Jakša Krišto. "Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period." Croatian Operational Research Review 8, br. 1 (2017): 77-92. https://doi.org/10.17535/crorr.2017.0005
Harvard
Gardijan, M., i Krišto, J. (2017). 'Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period', Croatian Operational Research Review, 8(1), str. 77-92. https://doi.org/10.17535/crorr.2017.0005
Vancouver
Gardijan M, Krišto J. Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period. Croatian Operational Research Review [Internet]. 2017 [pristupljeno 25.10.2020.];8(1):77-92. https://doi.org/10.17535/crorr.2017.0005
IEEE
M. Gardijan i J. Krišto, "Efficiency of mutual funds in Croatia: a DEA-based approach applied in the pre-crisis, crisis and post crisis period", Croatian Operational Research Review, vol.8, br. 1, str. 77-92, 2017. [Online]. https://doi.org/10.17535/crorr.2017.0005

Sažetak
The aim of this paper is to estimate the overall performance of mutual funds in Croatia in terms of their relative efficiency based on several performance indicators using data envelopment analysis (DEA). DEA is a non-parametric method that can provide an overall relative efficiency score of a certain fund given a number of risk, cost or reward or profitability measures. Since traditional mutual fund performance indicators are mostly based on the CAPM paradigm that demands using rigid assumptions and questionable benchmarks, we endeavor to overcome the limitations of such an approach by considering more appropriate risk and reward measures, such as Expected Shortfall, stochastic dominance and higher order moments. In this way, we developed an adjusted DEA-based mutual fund performance index. The efficiency scores obtained from the DEA model help in identifying efficient funds and ranking the funds based on certain criteria. DEA also identifies mutual fund(s) that can be benchmarks for other mutual funds that have similar investment strategies. These results were compared to various traditional indicators of absolute and relative risk-adjusted performance of mutual funds. The analysis was divided into three periods: the pre-crisis period, crisis period and post-crisis period with different conclusions for mutual fund performances in Croatia. The analysis includes altogether 60 UCITS funds in Croatia, in the period from the beginning of 2005 until the end of 2015, and was conducted on daily data of share prices, available from the Bloomberg terminal.

Ključne riječi
institutional investors; data envelopment analysis; mutual fund performance; DEA mutual fund performance indexes; Croatia

Hrčak ID: 181647

URI
https://hrcak.srce.hr/181647

Posjeta: 921 *